CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

The range of a put delta for a non-dividend-paying stock is ______

A. (0, 1)
B. (-1, 1)
C. (-1, 0)
Correct Answer: C

The range of a put delta is 0 and -e-δTN(-d1). For a non-dividend-paying stock, δ is 0, so e-δT becomes e0 = 1. The range becomes 0 and -(N(-d1) = -(1-N(d1) = N(d1 - 1. Since N(d1) is between 0 and 1, the range of the put delta is therefore -1 and 0.

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